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Abnormal returns and stock price movements : some evidence from developed and emerging markets

Caporale, Guglielmo Maria; Plastun, Alex - 2020

This paper investigates the impact of abnormal returns on stock prices by using daily and hourly data for some developed (US, UK, Japan) and emerging (China, India) markets over the period 01.01.2010-01.01.2020. Average analysis, t-tests, CAR and trading simulation methods are used to test the...

Persistent link: https://www.econbiz.de/10012390869

Credit Default Swaps, the Leverage Effect, and Cross-Sectional Predictability of Equity and Firm Asset Volatility

Forte, Santiago - 2020

fundamental difference in the cross-sectional predictability of asset and equity volatility. This difference lies in the leverage … effect component in equity volatility, and the interconnection between leverage and asset volatility …

Persistent link: https://www.econbiz.de/10012848868

Leverage and beliefs : personal experience and risk taking in margin lending

Koudijs, Peter; Voth, Hans-Joachim - 2014

What determines risk-bearing capacity and the amount of leverage in financial markets? Using unique archival data on … collateralized lending, we show that personal experience can affect individual risk-taking and aggregate leverage. When an investor … leverage in the Amsterdam stock market declined as a result. …

Persistent link: https://www.econbiz.de/10010359782

Forecasting returns with fundamentals-removed investor sentiment

Stivers, Adam - In: International Journal of Financial Studies : open … 3 (2015) 3, pp. 319-341

The Baker and Wurgler (2006) sentiment index purports to measure irrational investor sentiment, while the University of Michigan Consumer Sentiment Index is designed to largely reflect fundamentals. Removing this fundamental component from the Baker and Wurgler index creates an index of investor...

Persistent link: https://www.econbiz.de/10011312208

Momentum in Government-Bond Markets

Luu, Bac Van - 2012

The authors explore the risk-return properties of simple momentum strategies in six major government-bond markets and find that trend-following investment rules generate positive information ratios in the 1987-2011 sample period. They simulate the combination of momentum portfolios with...

Persistent link: https://www.econbiz.de/10013099383

Does the Stock Market Expect Upcoming Merger Activity?

Saidiev, Ulugbek - 2014

The study introduces empirical evidence that there are statistically significant relationships between intensity of upcoming aggregate merger activity and the present values of the factors HML and SMB in the Fama-French three-factor model of assets pricing

Persistent link: https://www.econbiz.de/10013065679

Dynamic Asset Allocation Based on Valuation and Momentum Applied to a Global All-Equity Portfolio

White, James - 2020

or index funds, and without use of leverage or shorting. The implementation we explore in this note trades monthly, with …

Persistent link: https://www.econbiz.de/10012838940

Forecasting Excess Returns of the Gold Market : Can We Learn from Stock Market Predictions?

Dichtl, Hubert - 2017

As some recent studies have shown empirically, future gold price fluctuations are especially difficult to forecast. Against this background, this study evaluates the forecasting power of three methods that have been applied successfully in a stock market prediction context: 1) technical...

Persistent link: https://www.econbiz.de/10012951544

Can Investor Sentiment Be a Momentum Time-Series Predictor? Evidence from China

Han, Xing - 2017

This paper challenges the prevailing view that investor sentiment is a contrarian predictor of market returns at nearly all horizons. As an important piece of "out-of-sample" evidence, we document that investor sentiment in China is a reliable momentum signal at monthly frequency. The strong...

Persistent link: https://www.econbiz.de/10012960494

The World Predictive Power of U.S. Equity Market Skewness

Chen, Jian - 2019

This study investigates the cross-country impact of U.S. equity market skewness risk. We find that a large decrease in the U.S. market skewness significantly predicts high future returns on international equity markets. The predictability remains significant after controlling for a set of U.S....

Persistent link: https://www.econbiz.de/10012902203

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